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q-fin.RM2026
Algorithmic Monitoring: Measuring Market Stress with Machine Learning
Marc Schmitt
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-sectio…
q-fin.RM2026
Taming Tail Risk in Financial Markets: Conformal Calibration for Nonstationary Portfolio VaR
Marc Schmitt
Value-at-risk (VaR) forecasts drive trading constraints and capital allocation, yet realized exceedance rates concentrate in stress periods, when losses are largest. This paper stu…
q-fin.RM2024★ 2 cited
Explainable Automated Machine Learning for Credit Decisions: Enhancing Human Artificial Intelligence Collaboration in Financial Engineering
Marc Schmitt
This paper explores the integration of Explainable Automated Machine Learning (AutoML) in the realm of financial engineering, specifically focusing on its application in credit dec…